Catherine was the daughter of Thomas Pegge of Yeldersley, Ashbourne, Derbyshire, and wife Catherine Kniveton, daughter of Sir Gilbert Kniveton, Baronet, and wife. Thomas and his family were exiled to Bruges during the English Civil War following his capture serving under the Royalist Colonel General Henry Hastings, 1st Baron Loughborough. It was in Bruges that Catherine's liaison with Charles II began, resulting in the birth of her son in 1657 who died in 1680.
There are allegedly two portraits of Catherine Pegge by Sir Peter Lely, the whereabouts of which are unknown.
She went on to marry before 1667 Sir Edward Greene of Sampford in Essex, Baronet on 26 July 1660, who died at Flanders in 1676 and was interred at Sampford, Essex, but they had no further children besides one Justinia Greene (1667–1717), one of the English Ladies of the Pontoise. 
- Notes and Queries 8 December 1849 pg 91
- Magna Britannia, Daniel and Samuel Lysons, Volume 5, 1817
- Memoirs of the Court of England During the Reign of the Stuarts: Including ... By John Heneage Jesse
- The Complete Peerage vol.X, p.559, note b.
- Literary Anecdotes of the Eighteenth Century By John Nichols 1812